Quadratic estimating functions for Nbingarch model

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Quadratic estimating functions for Nbingarch model

Time series of counts has been widely used in many real-world applications. In this paper, we derive the quadratic estimating functions for negative binomial GARCH, known as NBINGARCH (p,q) model. Specifically, we derive the optimal function of NBINGARCH(1,1) and obtain the estimated parameters of i...

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Bibliographic Details
Main Authors:	Mohamed, Ibrahim, Mohamad, Nurul Najihah, Thavaneswaran, A., Ng, Kok Hau
Format:	Proceeding Paper
Language:	English
Published:	2019
Subjects:	QA276 Mathematical Statistics
Online Access:	http://irep.iium.edu.my/81077/ http://irep.iium.edu.my/81077/7/81077%20program%20book%20and%20abstract.pdf

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